信用评级膨胀与声誉机制失灵——基于演化博弈视角  

Credit Rating Inflation and Reputation Mechanism Failure:A Study from the Perspective of Evolutionary Game

作　　者：安小雪 黄晓薇[1] AN Xiao-xue;HUANG Xiao-wei(School of Banking and Finance,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《现代财经（天津财经大学学报）》2021年第3期101-113,共13页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：国家自然科学基金面上项目(72073026);教育部人文社会科学研究规划基金项目(20YJA790031)。

摘　　要：文章构建了以信用评级机构和债券发行人为研究对象的演化博弈模型,为分析信用评级膨胀和声誉机制失灵问题提供了一个理论框架。研究发现,声誉机制不足以抑制评级膨胀,造成声誉机制失灵的主要原因在于发行人与评级机构之间的合谋行为。声誉机制仅在其他因素不变,只有声誉租金增加时有效,此时声誉租金增加能够带来评级质量改善。但是,如果发行人向评级机构支付超额资金,并且超额资金增加幅度大于声誉租金增加幅度,此时声誉机制不再起到维护评级质量作用。数值模拟分析进一步证实了上述结论。本文模型和论证为解释信用评级膨胀与声誉机制失灵问题提供了重要理论支撑,本文启示部分也为我国监管部门加强评级业监管提供了重要参考。This paper constructs an evolutionary game model of credit rating agencies and bond issuers,which provides a theoretical framework for the analysis of credit rating inflation and reputation mechanism failure.It is found that the reputation mechanism is not enough to restrain the rating inflation,and the main reason for the failure of reputation mechanism lies in the collusion between the issuer and rating agencies.The reputation mechanism is only effective when other factors remain unchanged and the reputation rent increases,which can improve the rating quality.However,if the issuer pays excess funds to the rating agency and the increase of excess funds is greater than the increase of reputation rent,then the reputation mechanism no longer plays a role in maintaining the quality of the rating.The numerical simulation further confirms the above conclusion.The demonstration and model of this paper provide important theoretical supports to explain the problem of credit rating expansion and reputation mechanism failure.The enlightening part of this paper provides an important reference for Chinese regulatory authorities to strengthen the supervision of rating industry.

关 键 词：信用评级 评级膨胀 声誉机制 演化博弈 

分 类 号：F831.2[经济管理—金融学]